A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Formula adjusts steady-state models for control confounding.
We consider the task of learning a parametric Continuous Time Markov Chain (CTMC) sequence model without examples of sequences, where the training data consists entirely of aggregate steady-state statistics. Making the problem harder, we assume that the states we wish to predict are unobserved in the training data. Spe…
FNO-DEQ solves steady-state PDEs as fixed points, outperforming traditional FNOs.
The paper calculates optimal trading turnover in terms of asset liquidity and alpha autocorrelation.
A steady state (or equilibrium point) of a dynamical system is hyperbolic if the Jacobian at the steady state has no eigenvalues with zero real parts. In this case, the linearized system does qualitatively capture the dynamics in a small neighborhood of the hyperbolic steady state. However, one is often forced to consi…
Online learners track optimal solutions with constant step-size.
Reduces nonlinear electromechanical dynamics through quasi-steady state hypothesis.
Study proves steady state space hypersurfaces are hyperplanes under certain curvature constraints.
Study on queues with Hawkes arrivals, proving steady-state behavior and developing an efficient algorithm.
This paper solves steady-state planning for multichain MDPs.
Method recovers causal diffusion mechanisms from steady-state data without parametric assumptions.
We derive, for the square operator of Yau, an analogue of the Omori-Yau maximum principle for the Laplacian. We then apply it to obtain nonexistence results concerning complete spacelike hypersurfaces with constant higher order mean curvature in the Steady State space.
We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.
We consider complete spacelike hypersurfaces with constant mean curvature in the open region of de Sitter space known as the steady state space. We prove that if the hypersurface is bounded away from the infinity of the ambient space, then the mean curvature must be H=1. Moreover, in the 2-dimensional case we obtain th…
Reconstructing transcriptional regulatory networks is an important task in functional genomics. Data obtained from experiments that perturb genes by knockouts or RNA interference contain useful information for addressing this reconstruction problem. However, such data can be limited in size and/or are expensive to acqu…
We study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which investors trade with each other at these steady states. Finally, we study the stab…
In the limit of infinite number of nodes (agents), the Itô-reduced Bouchaud-Mézard network model of economic exchange has a time-independent mean and a steady-state inverse gamma distribution. We show that for a finite number of nodes the mean is actually distributed as a time-dependent lognormal and inverse gamma is q…
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverage for a general form of the stochastic term. We also discuss correlation functions and leverage for three specific models -- multiplicative,…
We use Machine Learning (ML) and system identification validation approaches to estimate neural network models of large-scale Deformable Mirrors (DMs) used in Adaptive Optics (AO) systems. To obtain the training, validation, and test data sets, we simulate a realistic large-scale Finite Element (FE) model of a faceplat…
A neural network method estimates entropy production from system trajectories.
Credit risk management in Italy is characterized, in the period June 2008 to June 2012, by frequent (frequency=0.5 cycles per year) and intense (peak amplitude: mean=39.2 billion Euros, s.e.=2.83 billion Euros) quarterly contractions and expansions around the mean (915.4 billion Euros, s.e.=3.59 billion Euros) of the n…
Technological progress is leading to proliferation and diversification of trading venues, thus increasing the relevance of the long-standing question of market fragmentation versus consolidation. To address this issue quantitatively, we analyse systems of adaptive traders that choose where to trade based on their previ…
This study investigates the effects of Markov chain Monte Carlo (MCMC) sampling in unsupervised Maximum Likelihood (ML) learning. Our attention is restricted to the family of unnormalized probability densities for which the negative log density (or energy function) is a ConvNet. We find that many of the techniques used…
We study the problem of controlling linear time-invariant systems with known noisy dynamics and adversarially chosen quadratic losses. We present the first efficient online learning algorithms in this setting that guarantee regret under mild assumptions, where is the time horizon. Our algorithms rely …
Study on nonsmooth contractive SA with constant stepsize and Q-learning.
Steady-state visual evoked potentials (SSVEP) brain-computer interface (BCI) provides reliable responses leading to high accuracy and information throughput. But achieving high accuracy typically requires a relatively long time window of one second or more. Various methods were proposed to improve sub-second response a…
We show that a steady-state stock-flow consistent macro-economic model can be represented as a Constraint Satisfaction Problem (CSP).The set of solutions is a polytope, which volume depends on the constraintsapplied and reveals the potential fragility of the economic circuit,with no need to study the dynamics. Several …
We seek to infer the parameters of an ergodic Markov process from samples taken independently from the steady state. Our focus is on non-equilibrium processes, where the steady state is not described by the Boltzmann measure, but is generally unknown and hard to compute, which prevents the application of established eq…
Latent FxLMS accelerates ANC by adapting along low-dimensional filter weights.
An Atlas model is a rank-based system of continuous semimartingales for which the steady-state values of the processes follow a power law, or Pareto distribution. For a power law, the log-log plot of these steady-state values versus rank is a straight line. Zipf's law is a power law for which the slope of this line is …
A new eigenvalue-based method speeds up Monte Carlo simulations.
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the evolution of wealth in a pure gambling process, where the entire sum of wealths of two agents is up for gambling, and randomly shared between the agents. For this equation the analytical form of the steady states is found for va…
Federated Granger causality learns reliable interactions without sharing data.
Deep learning predicts fluid flow in porous media, accelerating simulations by orders of magnitude.
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased by either optimism or pessimism. Depending on the relevance they give to belief…
The paper analyzes transaction fees on blockchains using a priority queue model.
The paper proves convergence of normalized Ricci flow on compact manifolds.
Metabolic flux balance analyses are a standard tool in analysing metabolic reaction rates compatible with measurements, steady-state and the metabolic reaction network stoichiometry. Flux analysis methods commonly place unrealistic assumptions on fluxes due to the convenience of formulating the problem as a linear prog…
Method predicts multistable system states from sparse measurements.
We obtain necessary conditions for the existence of complete vertical graphs of constant mean curvature in the Hyperbolic and Steady State spaces. In the two-dimensional case we prove Bernstein-type results in each of these ambient spaces.
Equilibrium Propagation (EP) is a biologically inspired learning algorithm for convergent recurrent neural networks, i.e. RNNs that are fed by a static input x and settle to a steady state. Training convergent RNNs consists in adjusting the weights until the steady state of output neurons coincides with a target y. Con…
Bounds on chemical reaction network relaxation rates using convex analysis.
We consider the dynamics of a linear stochastic approximation algorithm driven by Markovian noise, and derive finite-time bounds on the moments of the error, i.e., deviation of the output of the algorithm from the equilibrium point of an associated ordinary differential equation (ODE). We obtain finite-time bounds on t…
Study capacity constraints in continual learning with a simple model.
We prove that Student's t-distribution provides one of the better fits to returns of S&P component stocks and the generalized inverse gamma distribution best fits VIX and VXO volatility data. We further argue that a more accurate measure of the volatility may be possible based on the fact that stock returns can be unde…
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer scientists [17]. This paper gives an idea about the trend analysis of stock mar…
This paper develops an active sensing method to estimate the relative weight (or trust) agents place on their neighbors' information in a social network. The model used for the regression is based on the steady state equation in the linear DeGroot model under the influence of stubborn agents, i.e., agents whose opinion…
We introduce LAMP: the Linear Additive Markov Process. Transitions in LAMP may be influenced by states visited in the distant history of the process, but unlike higher-order Markov processes, LAMP retains an efficient parametrization. LAMP also allows the specific dependence on history to be learned efficiently from da…